Corporate Disclosure Practices, Institutional Investors, and Stock Return Volatility

Posted: 23 Feb 2001

See all articles by Brian J. Bushee

Brian J. Bushee

University of Pennsylvania - The Wharton School

Christopher F. Noe

Massachusetts Institute of Technology - Sloan School of Management

Date Written: September 2000

Abstract

This paper investigates whether a firm's disclosure practices affect the composition of its institutional investor ownership and, hence, its stock return volatility. The findings indicate that firms with higher AIMR disclosure rankings have greater institutional ownership, but the particular types of institutional investors attracted to greater disclosure have no net impact on return volatility. However, yearly improvements in disclosure rankings are associated with increases in ownership primarily by "transient" institutions, which are characterized by aggressive trading based on short-term strategies. Firms with disclosure ranking improvements resulting in higher transient ownership are found to experience subsequent increases in stock return volatility.

Keywords: Corporate disclosure; Institutional investors; Stock Return Volatility

JEL Classification: M41, M45, G12, G32, G39

Suggested Citation

Bushee, Brian J. and Noe, Christopher F., Corporate Disclosure Practices, Institutional Investors, and Stock Return Volatility (September 2000). Available at SSRN: https://ssrn.com/abstract=255991

Brian J. Bushee (Contact Author)

University of Pennsylvania - The Wharton School ( email )

3641 Locust Walk
Philadelphia, PA 19104-6365
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215-573-2054 (Fax)

Christopher F. Noe

Massachusetts Institute of Technology - Sloan School of Management ( email )

77 Massachusetts Avenue
Cambridge, MA 02139-4307
United States

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